In a large bowl, combine the first four ingredients. Cut in butter and shortening until mixture resembles coarse crumbs. Beat egg and milk; stir into dry ingredients until a soft dough forms.
Turn onto a lightly floured surface; knead 6-8 times or until smooth. Roll out to 1/4-in. thickness. Cut with a 2-1/4-in. biscuit cutter. Fold each dough circle over a hot dog and press edges to seal (dough will be sticky). Place on greased baking sheets.
Bake at 450° for 10-12 minutes or until golden brown. In an small bowl, combine the sauce ingredients. Serve with corn dogs. Yield: 2 dozen.